nep-mac New Economics Papers
on Macroeconomics
Issue of 2013‒08‒23
forty-six papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Optimal Macroprudential Policy By Ko Munakata; Koji Nakamura; Yuki Teranishi
  2. GDP-Inflation cyclical similarities in the CEE countries and the euro area By Macchiarelli, Corrado
  3. The Effectiveness of Monetary Policy since the Onset of the Financial Crisis By Romain Bouis; Łukasz Rawdanowicz; Jean-Paul Renne; Shingo Watanabe; Ane Kathrine Christensen
  4. Risk, uncertainty and monetary policy By Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
  5. Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks By Jaccard, Ivan
  6. Are Central Bank Independence Reforms Necessary for Achieving Low and Stable Inflation? By Daunfeldt, Sve-Olov; Landström, Mats; Rudholm, Niklas
  7. What's in a Second Opinion? Shadowing the ECB and the Bank of England By Matthias Neuenkirch; Pierre L. Siklos
  8. Instability: Monetary and Real By Michael T. Belongia; Peter N. Ireland
  9. International monetary transmission to the Euro area: Evidence from the U.S., Japan and China By Vespignani, Joaquin L.; Ratti, Ronald A.
  10. The Benefits and Costs of Highly Expansionary Monetary Policy By Łukasz Rawdanowicz; Romain Bouis; Shingo Watanabe
  11. Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box By Rustam Jamilov; Balázs Égert
  12. Oil Windfalls, Fiscal Policy and Money Market Disequilibrium By Salman Huseynov; Vugar Ahmadov
  13. Non-uniform wage-staggering: European evidence and monetary policy implications. By Juillard, M.; Le Bihan, H.; Millard, S.
  14. The ECB’s non-standard monetary policy measures: the role of institutional factors and financial structure By Cour-Thimann, Philippine; Winkler, Bernhard
  15. The Seductive Myth of Canada’s “Overvalued” Dollar By Christopher Ragan
  16. Monetary policy, macroprudential policy and banking stability: evidence from the euro area By Maddaloni, Angela; Peydró, José-Luis
  17. Impact of Financial Deregulation on Monetary and Economic Policy in the Czech Republic, Hungary and Poland: 1990-2003 By Patricia McGrath
  18. Los canales del desapalancamiento del sector privado: una comparación internacional By Daniel Garrote; Jimena Llopis; Javier Vallés
  19. Bubbles, bank credit and macroprudential policies By Derviz, Alexis
  20. Bank leverage cycles By Nuño, Galo; Thomas, Carlos
  21. Education policy and intergenerational transfers in equilibrium By Brant Abbott; Giovanni Gallipoli; Costas Meghir; Gianluca Violante
  22. The New "Normal" for Interest Rates in Canada: The Implications of Long-Term Shifts in Global Saving and Investment By Paul Beaudry; Philippe Bergevin
  23. Aggregate productivity and the allocation of resources over the business cycle By Sophie Osotimehin
  24. Impact of eurozone Financial Shocks on Southeast Asian Economies By Menon, Jayant; Ng, Thiam Hee
  25. Resource Return on Investment under Markup Pricing By Kemp-Benedict, Eric
  26. The industrial impact of monetary shocks during the inflation targeting era in Australia By Vespignani, Joaquin L.
  27. Exploring the steady-state relationship between credit and GDP for a small open economy: the case of Ireland By Kelly, Robert; McQuinn, Kieran; Stuart, Rebecca
  28. Macro-networks: an application to the euro area financial accounts By Castrén, Olli; Rancan, Michela
  29. A Macroeconomic Model of Imperfect Competition with Patent Licensing By Hui-ting Hsieh; Ching-chong Lai
  30. Domestic credit growth and international capital flows By Lane, Philip R.; McQuade, Peter
  31. Now-casting and the real-time data flow By Bańbura, Marta; Giannone, Domenico; Modugno, Michele; Reichlin, Lucrezia
  32. Domestic public debt in low-income countries: trends and structure By Giovanna Bua; Juan Pradelli; Andrea Filippo Presbitero
  33. The 90% Public Debt Threshold: The Rise & Fall of a Stylised Fact By Balazs Egert
  34. Fragile Balance of Payment in Indonesia in the Midst of Recent Global Economic Uncertainties By Siregar, Reza; Wihardja, Monica
  35. Public debt, economic growth and nonlinear effects: Myth or reality? By Balázs Égert
  36. Price Competition in an Inflationary Environment By Duersch, Peter; Eife, Thomas
  37. Forecast combination for U.S. recessions with real-time data By Laurent L. Pauwels; Andrey Vasnev
  38. International Fragmentation of Production, Trade and Growth: Impacts and Prospects for EU Member States By Neil Foster-McGregor; Robert Stehrer; Marcel Timmer
  39. Mining Gold for the Currency during the Pax Romana By John Hartwick
  40. Real estate prices in Japan and Lewis turning point By Tabata, Katsushi; Kawaguchi, Yuichiro
  41. A tractable framework for zero-lower-bound Gaussian term structure models By Leo Krippner
  42. The controversial link between exchange rate volatility and exports: Evidence from Tunisian case By Bouoiyour, Jamal; Selmi, Refk
  43. Das Erwerbspersonenpotenzial zu Vollzeitäquivalenten: Messkonzept, Projektion und Anwendungsbeispiele By Knetsch, Thomas A.; Sonderhof, Katja; Kempe, Wolfram
  44. Foreign Remittances and Economic Growth in Pakistan: An empirical investigation By Ahmad, Najid; Ahmad, Arslan; Hayat, Muhammad Farhat
  45. Does Rural Financial Development Spur Economic Growth? Evidence from Nigeria By Mr Sani Ibrahim, Saifullahi
  46. The impact of money supply on stock prices and stock bubbles By Sirucek, Martin

  1. By: Ko Munakata; Koji Nakamura; Yuki Teranishi
    Abstract: We introduce financial market friction through search and matching in the loan market into a standard New Keynesian model. We reveal that the second order approximation of social welfare includes the terms related to credit, such as credit market tightness, the volume of credit, and the loan separation rate, in addition to the inflation rate and consumption under financial market friction. Our analytical result justifies why optimal policy should take credit variation into account. We introduce monetary policy and macroprudential policy measures for financial stability into the model. The optimal outcome is achieved through monetary and macroprudential policies by taking into account not only price stability but also financial stability.
    Keywords: Optimal macroprudential policy; optimal monetary policy; financial market friction
    JEL: E44 E52 E61
    Date: 2013–08
  2. By: Macchiarelli, Corrado
    Abstract: In this paper we look at business cycles similarities between CEE countries and the euro area. Particularly, we uncover GDP-inflation cycles by adopting a trend-cycle decomposition model which allows the trend to be either stochastic or deterministic i.e. of the non-linear type. Once cyclical components are derived, we test for ex post restrictions at both with-in (GDP-to-inflation) and cross-country (CEECs vs. euro area) levels. Allowing for different degrees of cyclical similarity, we find that a similar inflation vs. GDP cycle is not rejected only for Poland, Lithuania, Romania and Estonia (with Latvia and the euro area being at the boundary). Looking at cross-country results, almost all countries feature a fair degree of similarity with respect to the euro area. Exceptions are Poland, Hungary, Latvia and Slovenia because of lack of a similar cycle either occurring in GDP or inflation, yet not in both. Finally, observing how concurrence between each CEECs cycle and the euro area evolved over time, we find that inflation conditional correlation increased stemming from the EU accession of most CEECs and as a result of the commodity price shock preceding 2008. Further, inflation and GDP conditional correlations receded during the course of 2009-2010, possibly resulting from more idiosyncratic adjustments in the aftermath of the crisis on the monetary/fiscal side. Interestingly, Slovenia, Slovakia, Estonia and Bulgaria display a conditional correlation pattern in GDP and inflation which roughly suggest a strong out-of-phase recovery starting from 2005. JEL Classification: C51, E31, E32, F43, F44
    Keywords: business cycle, CEECs, convergence, euro area, Inflation-GDP gaps
    Date: 2013–06
  3. By: Romain Bouis; Łukasz Rawdanowicz; Jean-Paul Renne; Shingo Watanabe; Ane Kathrine Christensen
    Abstract: In the wake of the Great Recession, a massive monetary policy stimulus was provided in the main OECD economies. It helped to stabilise financial markets and avoid deflation. Nonetheless, GDP growth has been sluggish and in some countries lower than expected given the measures taken, and estimated economic slack remains large. In this context, this paper assesses the effectiveness of monetary policy in recent years. It finds that notwithstanding an almost full transmission of policy interest rate cuts and unconventional policy measures to higher asset prices and lower cost of credit in and outside the banking sector in most countries, with the exception of vulnerable euro area economies, monetary policy stimulus did not show up in stronger growth due to a combination of three factors. First, lower policy interest rates may not have provided as much stimulus as expected given the evidence of a decrease in natural interest rates, resulting from the estimated decline in potential GDP growth in the wake of the crisis. Second, balance sheet adjustments of non-financial companies and households, large uncertainty as well as simultaneous and considerable fiscal consolidation in many OECD countries constituted important headwinds. Third, the bank lending channel of monetary policy transmission appears to have been impaired, mainly due to considerable balance sheet adjustments and prevailing uncertainty, which together limited banks’ capacity and willingness to supply credit. The paper also stresses that the monetary accommodation risks having unintended negative consequences which are likely to increase with its duration.<P>L'efficacité de la politique monétaire depuis le début de la crise financière<BR>Dans le sillage de la Grande Récession, un important stimulus monétaire a été fourni dans les principales économies de l’OCDE. Il a permis de stabiliser les marchés financiers et d’éviter la déflation. Toutefois, la croissance du PIB a été lente et dans certains pays plus faible qu’attendue compte tenu des mesures prises, et le ralentissement économique estimé demeure important. Dans ce contexte, ce papier évalue l’efficacité de la politique monétaire au cours des années récentes. Il trouve qu’en dépit d’une transmission presque complète des baisses de taux d’intérêt et des mesures non conventionnelles de politique monétaire à des prix d’actifs plus élevés et un coût du crédit plus faible à l’intérieur et à l’extérieur du secteur bancaire dans la plupart des pays, à l’exception des économies vulnérables de la zone euro, le stimulus de la politique monétaire ne s’est pas traduit par une croissance plus forte en raison de la combinaison de trois facteurs. Premièrement, des taux plus faibles de politique monétaire pourraient ne pas avoir fourni autant de stimulus qu’attendu étant donné la baisse des taux d’intérêt naturels résultant d’une diminution estimée de la croissance potentielle du PIB dans le sillage de la crise. Deuxièmement, les ajustements des bilans des entreprises non financières et des ménages, une grande incertitude ainsi qu’une consolidation budgétaire simultanée et considérable dans de nombreux pays de l’OCDE ont constitué d’importants vents contraires. Troisièmement, le canal du crédit bancaire de transmission de la politique monétaire semble avoir été réduit, principalement en raison des ajustements considérables des bilans et de l'incertitude qui règne, limitant à la fois la capacité et la volonté des banques à proposer des crédits. Le papier souligne également que l’assouplissement monétaire risque d’avoir des conséquences négatives non souhaitées susceptibles d’augmenter avec la durée.
    Keywords: financial markets, monetary policy, credit, financial crisis, natural interest rates, marchés financiers, politique monétaire, crédit, crise financière, taux d’intérêt naturels
    JEL: E32 E43 E44 E5 G01 G28 H12
    Date: 2013–08–12
  4. By: Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
    Abstract: The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of identification schemes for the vector autoregression in general and monetary policy shocks in particular. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data. JEL Classification: E44, E52, G12, G20, E32
    Keywords: business cycle, monetary policy, option implied volatility, risk aversion, uncertainty
    Date: 2013–07
  5. By: Jaccard, Ivan
    Abstract: We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity shocks are considerably larger in the model economy that generates a realistic equity premium. Liquidity constraints amplify business cycle volatility and have nonlinear effects on risk premia. Our empirical analysis suggests that the Great Recession was primarily caused by liquidity factors. JEL Classification: E44, E51, E32
    Keywords: asset pricing, Bayesian estimation, Great Recession
    Date: 2013–03
  6. By: Daunfeldt, Sve-Olov (The Swedish Retail Institute (HUI)); Landström, Mats (Department of Economics, University of Gävle); Rudholm, Niklas (Department of Economics)
    Abstract: Using data on the occurrence of central bank independence (CBI) reforms in 131 countries during 1980-2005, we test whether they were important in reducing inflation and maintaining price stability. CBI reforms are found to have reduced inflation on average 3.31% when countries with historically high inflation rates are included. But countries with lower inflation have reduced it without institutional reforms granting central banks more independence, undermining the theoretical time-inconsistency case for CBI. There is furthermore no evidence that CBI reforms have helped reduce inflation variability.
    Keywords: inflation; institutional reform; monetary policy; time-inconsistency
    JEL: E52 E58 P48
    Date: 2013–08–13
  7. By: Matthias Neuenkirch; Pierre L. Siklos
    Abstract: One way of evaluating how well monetary authorities perform is to provide the public with a regular and independent second opinion. The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professional and academic economists who provide a separate policy rate recommendation in advance of the central bank announcement. In this paper, we systematically evaluate this second opinion and find that, first, the shadow committee of the ECB tends to be relatively less inflation averse than the ECB. In contrast, the shadow committee of the BoE proposes a more hawkish monetary policy stance than the BoE. Second, consensus within a shadow committee is far easier to reach when there is no pressure to change the policy rate. Third, the ECB’s shadow committee is more activist than the ECB’s Governing Council and a larger degree of consensus within the former brings about a greater likelihood that the two committees will agree.
    Keywords: Committee Behavior, Monetary Policy Committees, Shadow Councils, Taylor Rules
    JEL: E43 E52 E58 E61
    Date: 2013–07
  8. By: Michael T. Belongia (University of Mississippi); Peter N. Ireland (Boston College)
    Abstract: Fifty years ago, Friedman and Schwartz presented evidence of pro-cyclical movements in the money stock, exhibiting a lead over corresponding movements in output, found in historical monetary statistics for the United States. Very similar relationships appear in more recent data. To see them clearly, however, one must use Divisia monetary aggregates in place of the Federal Reserve’s official, simple-sum measures. One must also split the data sample to focus, separately, on episodes before and after 1984 and on a new episode of instability beginning in 2000. A structural VAR draws tight links between Divisia money and output during each of these three periods.
    Keywords: money, output, Divisia aggregates, structural VAR
    JEL: E31 E32 E51 E52
    Date: 2013–08–01
  9. By: Vespignani, Joaquin L.; Ratti, Ronald A.
    Abstract: There are marked differences in the effect of increases in monetary aggregates in China, Japan and the U.S. on Euro area economic and financial variables over 1999-2012. Increases in monetary aggregates in China are associated with significant increases in the world price of commodities and with increases in Euro area inflation, industrial production and exports. Results are consistent with shocks to China’s M2 facilitating domestic growth with expansionary consequences for the Euro area economy. In contrast, increases in monetary aggregates in Japan are associated with significant appreciation of the Euro and decreases in Euro area industrial production and exports. Production of goods highly competitive with European goods in Japan and expenditure switching in Japan are consistent with the results. U.S. monetary expansion has relatively small effects on the Euro area over this period compared to results reported in the literature for earlier sample periods.
    Keywords: International monetary transmission, China’s monetary aggregates, Euro area Commodity prices
    JEL: E52 E58 F31 F42
    Date: 2013–06–15
  10. By: Łukasz Rawdanowicz; Romain Bouis; Shingo Watanabe
    Abstract: How far to go – and to remain – in the direction of highly expansionary monetary policy hinges on the balance of marginal benefits and costs of additional monetary easing and its expected evolution over time. This paper sketches a framework for assessing this balance and applies it to four OECD economic areas: the euro area, Japan, the United Kingdom and the United States. The effectiveness of further stimulus via quantitative easing or forward guidance in affecting asset prices, interest rates and credit flows will depend on the state of the economy and the functioning of financial markets. Marginal costs could rise due to excessive risk-taking; higher inflation expectations; higher likelihood of ever-greening; and higher risks of financial instability in the exit phase, especially when exit from monetary accommodation is close in time and signs of negative effects are already apparent. The balance of marginal benefits and costs is found to be different across the main OECD areas. In the United States, the case for additional stimulus is weakening, while the opposite is true for the euro area and Japan. In the United Kingdom, the assessment is less clear cut.<P>Les avantages et coûts d'une politique monétaire très expansionniste<BR>Jusqu’où aller – et demeurer – dans la direction d’une politique monétaire hautement expansionniste dépend du solde entre les avantages et coûts de l’assouplissement monétaire additionnel et de son évolution attendue dans le temps. Ce document propose une ébauche d’un cadre d’analyse pour évaluer ce solde et l’applique à quatre principales régions économiques de l’OCDE : les États-Unis, la zone euro, le Japon et le Royaume-Uni. L’efficacité d’un stimulus additionnel via l’assouplissement quantitatif ou des indications prospectives pour affecter les prix d’actifs, les taux d’intérêt et les flux de crédit dépendra de l’état de l’économie et du fonctionnement des marchés financiers. Les coûts marginaux pourraient croître en raison d’une prise de risques excessive ; d’anticipations d’inflation plus élevées ; d’une plus grande probabilité de régénération des créances douteuses ; et de risques accrus d’instabilité financière dans la phase de sortie, surtout lorsque la sortie de la politique monétaire accommodante est proche dans le temps et que les signes d’effets négatifs sont déjà apparents. Le solde entre les avantages et coûts est estimé être différent au sein des principales régions de l’OCDE. Aux États-Unis, l’argument en faveur d’un stimulus additionnel s’est affaibli, tandis que l’opposé est vrai pour la zone euro et le Japon. Au Royaume-Uni, le diagnostic est moins clair.
    Keywords: monetary policy, spillovers, quantitative easing, forward guidance, asset price booms, ever-greening, politique monétaire, assouplissement quantitatif, indications prospectives, boom de prix d’actifs, régénération, retombées
    JEL: E31 E43 E44 E5 F31 F32 G12 G21
    Date: 2013–08–12
  11. By: Rustam Jamilov; Balázs Égert
    Abstract: This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and low banking sector competition. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the size and speed of the pass-through.
    Keywords: Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus
    JEL: E43 E52 N25
    Date: 2013–01–02
  12. By: Salman Huseynov; Vugar Ahmadov
    Abstract: In this paper, we base our policy analyses and simulations on three different specifications of a DSGE model developed for a CIS oil rich country and check the impact of the oil windfalls. The first proposed specification is a classical one with a Taylor rule and the second one is a recently new specification with a money growth rule. Beside two familiar specifications, we propose a new specification which assumes a temporary money market disequilibrium in the short run. This disequilibrium is a result of the fiscal misbalance and (non-primary) pro-deficit policy pursued by the fiscal authority. We show that all three specifications allow the fiscal authority to act as the main actor in propagating and amplifying the effects of the oil price shocks to the rest of the economy. When an oil shock hits the economy, its first round effect operates through oil fund transfers to the budget. The second round effects result from an increase in government consumption and government investment expenditures, which augments public capital affecting total factor productivity (TFP) and production, as well as the aggregate demand. We also find that despite significant differences, all three specifications demonstrate similar response dynamics.
    Keywords: Fiscal Policy; Oil Windfalls; Public investment; Market Disequilibrium; Oil rich country
    JEL: E47 E58 E61
    Date: 2013–06–15
  13. By: Juillard, M.; Le Bihan, H.; Millard, S.
    Abstract: In many countries, wage changes tend to be clustered in the beginning of the year, with wages being set for fixed durations of typically one year. This has been, in particular, documented in recent years for European countries using microeconomic data. Motivated by this evidence we build a model of uneven wage staggering, embedded in a standard DSGE model of the euro area, and investigate the monetary policy consequences of non-synchronised wage-setting. The model has the potential to generate responses to monetary policy shocks that differ according to the timing of the shock. Using a realistic calibration of the seasonality in wage-setting, based on a wide survey of European firms, the quantitative difference across quarters turns out however to be moderate. Relatedly, we obtain that the optimal monetary policy rule does not vary much across quarters.
    Keywords: wage-setting, wage-staggering, wage synchronisation, monetary policy shocks, optimal simple monetary policy rules.
    JEL: E27 E52
    Date: 2013
  14. By: Cour-Thimann, Philippine; Winkler, Bernhard
    Abstract: This paper aims to make two contributions: to review the ECB’s non-standard monetary policy measures in response to the financial and sovereign debt crisis against the background of the institutional framework and financial structure of the euro area; and to interpret this response from a flow-of-funds perspective. The paper highlights how the rationale behind the ECB’s nonstandard measures differs from that underlying quantitative easing policies. As a complement to rather than a substitute for standard interest rate decisions, the non-standard measures are aimed at supporting the effective transmission of monetary policy to the economy rather than at delivering additional direct monetary stimulus. The flow-of-funds analysis proposes an interpretation of central banks’ crisis responses as fulfilling their traditional role as lender of last resort to the banking system and, more broadly, reflecting their capacity to act as the “ultimate sector” that can take on leverage when other sectors are under pressure to deleverage. It also provides examples that trace the impact of non-standard measures across different sectors and markets. JEL Classification: E02, E40, E50, E58
    Keywords: asset purchases, Economic and Monetary Union, financial structure, flow of funds, monetary policy, sovereign debt crisis
    Date: 2013–04
  15. By: Christopher Ragan (McGill University)
    Abstract: A confluence of factors promises to put pressure on the new Bank of Canada governor to direct monetary policy at fixing Canada’s so-called “overvalued” currency, according to a report released today by the C.D. Howe Institute. But in “The Seductive Myth of Canada’s “Overvalued” Dollar,” author Christopher Ragan provides two strong arguments against doing so: the importance of the Bank’s focus on inflation, and the weakness of the “overvalued” dollar argument.
    Keywords: Monetary Policy
    JEL: E58 O24
  16. By: Maddaloni, Angela; Peydró, José-Luis
    Abstract: We analyze the impact on lending standards of short-term interest rates and macroprudential policy before the 2008 crisis, and of the provision of central bank liquidity during the crisis. Exploiting the euro area institutional setting for monetary and prudential policy and using the Bank Lending Survey, we show that in the period prior to the crisis, in an environment of low monetary policy interest rates, bank lending conditions unrelated to borrowers’ risk were softened. During the same period, we also provide some suggestive evidence of excessive risktaking for mortgages loans. At the same time, we show that the impact of low monetary policy rates on the softening of standards may be reduced by more stringent prudential policies on either bank capital or loan-to-value ratios. After the start of the 2008 crisis, we find that low monetary rates helped to soften lending conditions that were tightened because of bank capital and liquidity constraints, especially for business loans. Importantly, this softening effect is stronger for banks that borrow more long-term liquidity from the Eurosystem. Therefore, the results suggest that monetary policy rates and central bank provision of long-term liquidity complement each other in working against a possible credit crunch for firms. JEL Classification: E51, E52, E58, G01, G21, G28
    Keywords: banking stability, Macroprudential policy, monetary policy
    Date: 2013–07
  17. By: Patricia McGrath
    Abstract: The three countries took different stances in regards to economic policy; the Czech Republic pursued a shock therapy regime which aimed to stabilise the economy, Hungary’s policy was more relaxed whilst Poland had an aggressive reform programme. Regarding monetary policy the Czech Republic used the discount rate as a tool for monetary policy, Hungary used indirect monetary policy and Poland had strict monetary policies which raised interest rates and devalued the zloty. After financial deregulation the impact of economic and monetary policy led to positive economic growth in the Czech Republic year on year. Hungary had a similar experience whilst Poland had an initial high increase in economic growth. This reduced over time but they still recorded positive economic growth over the period studied.
    Keywords: Transition Economies, Financial Deregulation, Economic Growth, Eastern Europe.
    JEL: E E2 E4 E5 G G15 G21
    Date: 2013–05–15
  18. By: Daniel Garrote (Banco de España); Jimena Llopis (Banco de España); Javier Vallés (Banco de España)
    Abstract: Following the increase in private-sector indebtedness before the 2008 Great Recession, balance sheet adjustment by the most indebted agents will be a necessary condition for achieving balanced growth. This paper analyses the deleveraging of the non-financial private sector in four countries that experienced a housing boom —US, UK, Ireland and Spain— and how it is affecting their pace of recovery. The results indicate that in 2008-2012 there are differences in these countries not only in the intensity of debt reduction but also in the distribution between agents and productive sectors, and in the form deleveraging is taking. Arguably, too, differences in observed patterns of adjustment are related to distinct economic policies and international environments. In the United States the drivers reducing debt are the improvement in activity and household debt restructuring and defaults; in the United Kingdom inflation has dominated, eroding the value of debt; and in Ireland and Spain the reduction in net financing flows is proving more important. Deleveraging processes will foreseeably continue in the future, as debt ratios are still relatively high. These processes are usually gradual in nature, so they will continue affecting consumption and investment growth over the coming years.
    Keywords: debt, deleveraging, inflation, restructurings, defaults
    JEL: E20 E51 G21
  19. By: Derviz, Alexis
    Abstract: We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy. In our model, producers are financed by both bank debt and equity, and face a mix of systematic and idiosyncratic uncertainty. Positive/negative bubbles arise when prior public beliefs about the aggregate productivity of producers (business sentiment) become biased upwards/downwards. Economic activity in equilibrium is influenced by the bubble size. The presence of macroprudential policy is represented by a convex dependence of bank capital requirements on the quantity of uncollateralized credit. We find that this kind of policy is more successful in suppressing equity price swings than moderating output fluctuations. Economic activity declines with the introduction of a macroprudential instrument in this model, so that the ultimate welfare contribution of the latter would depend on the aggregate default costs. JEL Classification: G01, G21, G12, E22, D82
    Keywords: asset price, bank, bubble, credit, Macroprudential policy
    Date: 2013–06
  20. By: Nuño, Galo; Thomas, Carlos
    Abstract: We document the cyclical dynamics in the balance sheets of US leveraged financial intermediaries in the post-war period. Leverage has contributed more than equity to fluctuations in total assets. All three variables are several times more volatile than GDP. Leverage has been positively correlated with assets and (to a lesser extent) GDP, and negatively correlated with equity. These findings are robust across financial subsectors. We then build a general equilibrium model with banks subject to endogenous leverage constraints, and assess its ability to replicate the facts. In the model, banks borrow in the form of collateralized risky debt. The presence of moral hazard creates a link between the volatility in bank asset returns and bank leverage. We find that, while standard TFP shocks fail to replicate the volatility and cyclicality of leverage, volatility shocks are relatively successful in doing so. JEL Classification: E20, G10, G21
    Keywords: call option, cross-sectional volatility, Financial intermediaries, leverage, limited liability, Moral Hazard, put option, short-term collateralized debt
    Date: 2013–03
  21. By: Brant Abbott; Giovanni Gallipoli; Costas Meghir (Institute for Fiscal Studies and Yale University); Gianluca Violante (Institute for Fiscal Studies and New York University)
    Abstract: This paper compares partial and general equilibrium effects of alternative financial aid policies intended to promote college participation. We build an overlapping generations life-cycle, heterogeneous-agent, incomplete-markets model with education, labour supply, and consumption/saving decisions. Altruistic parents make inter vivos transfers to their children. Labour supply during college, government grants and loans, as well as private loans, complement parental transfers as sources of funding for college education. We find that the current financial aid system in the U.S. improves welfare, and removing it would reduce GDP by two percentage points in the long-run. Any further relaxation of government-sponsored loan limits would have no salient effects. The short-run partial equilibirum effects of expanding tuition grants (especially their need-based component) are sizable. However, long-run general equilibrium effects are 3-4 times smaller. Every additional dollar of government grants crowds out 20-30 cents of parental transfers.
    Keywords: education, financial aid, inter vivos transfers, credit constraints, equilibrium
    JEL: E24 I22 J23 J24
    Date: 2013–08
  22. By: Paul Beaudry (University of British Columbia); Philippe Bergevin (C.D. Howe Institute)
    Abstract: How far and how fast Canada’s record-low interest rates will rise in the coming years is a vital question for consumers and businesses. In “The New “Normal” for Interest Rates in Canada: The Implications of Long-Term Shifts in Global Saving and Investment,” authors Paul Beaudry and Philippe Bergevin find that the normal or “neutral” rate is likely lower than its historical average, and likely will remain at relatively lower levels over the next decade.
    Keywords: Monetary Policy
    JEL: E43 E58
  23. By: Sophie Osotimehin
    Abstract: RThis paper proposes a novel decomposition of aggregate productivity to evaluate the role of resource reallocation for the cyclical dynamics of aggregate productivity. The decomposition, which is derived from the aggregation of heterogeneous firm-level production functions, accounts for changes in allocative efficiency, as well as for changes in entry and exit. This approach thereby extends Solow (1957)’s growth accounting exercise to a framework with firm heterogeneity and frictions in the allocation of resources across firms. I apply the decomposition to a comprehensive dataset of French manufacturing and service firms and find that entry and exit contribute little to the year-on-year variability of aggregate productivity. Resource reallocation across incumbent firms, however, plays an important role in the dynamics of aggregate productivity. The efficiency of resource allocation improves during downturns and tend to reduce the volatility of aggregate productivity
    Keywords: aggregate productivity, aggregate fluctuations, resource allocation, entry and exit, cleansing
    JEL: E32 O47 D24
    Date: 2013–08
  24. By: Menon, Jayant (Asian Development Bank); Ng, Thiam Hee (Asian Development Bank)
    Abstract: Five years after the Global Financial Crisis, the economies of the United States (US) and the eurozone continue to struggle. How will Southeast Asian economies be affected should there be a further deterioration in conditions in the eurozone? In this paper, we present estimates using a Global Vector Autoregression model of the direct impacts in Southeast Asia of a further shock to the eurozone. We find that although the direct impacts are likely to be muted, it could trigger a much larger adjustment should it lead to a reassessment of risks and asset valuations. This is a real possibility given that vulnerability in the region has increased following massive inflows of capital and the build-up of debt related to successive bouts of quantitative easing, initially in the US and now in Japan. In light of a possible reassessment of risks and asset valuations, and with the International Monetary Fund’s resources already stretched, there is a pressing need to improve regional financial safety nets, which are currently unworkable, to deal with the fallout.
    Keywords: eurozone crisis; asset bubbles; contagion; regional financial safety nets; Chiang Mai Initiative; ASEAN; ASEAN+3
    JEL: E37 E58 F32 F34
    Date: 2013–08–01
  25. By: Kemp-Benedict, Eric
    Abstract: In the (very) long run, a sustainable economy must rely on renewable resources. Until that time, an economy can be based on either renewable resources alone or a mix of renewable and non-renewable resources, but the particular mix may constrain the types of economic structures that are possible. A particularly important consideration is the quantity of resources required to extract the resources on which the economy is based, whether it is seeds retained for planting or petroleum used to extract oil. In the case of energy this is called “energy return on energy investment”, or EROI. More generally, it can be considered “resource return on resource investment”, or RROI. EROI has drawn attention lately both because the EROI of fossil fuels is falling and because the EROI of some renewable alternatives – especially for liquid fuels – is low compared to fossil fuels. In conventional economic analysis it is not clear what the relation between EROI, energy price, and macroeconomic outcomes might be. However, it raises immediate concerns within an Ecological Economic framework, in which resources – which may contribute only a small amount to GDP – are viewed as essential to the functioning of the economy. Resources are pictured as sitting at the base of an inverted pyramid, with the rest of the economy balanced on top of them. In this paper we show that when prices are set by markup, a standard Post-Keynesian assumption, then the “inverted pyramid” picture of the economy emerges naturally. We use this result to develop a computational framework for a “markup economy”, and apply it to the question of the macroeconomic impact of changes in resource prices and resource return on investment. We use the resulting model to explore several macroeconomic questions, demonstrating that the model is quite useful for exploring the role of natural resources in the macroeconomy. We then show our main result, that RROI has a surprisingly limited effect on real wages until it reaches quite low values.
    Keywords: EROI,macroeconomics,input-output,ecological economics,biophysical economics,Post Keynesian
    JEL: E00 E11 E12 Q01 Q43
    Date: 2013–08–19
  26. By: Vespignani, Joaquin L. (School of Economics and Finance, University of Tasmania)
    Abstract: In this article we analyse the industrial impact of monetary shocks since inflation targeting has been introduced in Australia (1990). These impacts are quantified by constructing a structural vector autoregressive (SVAR) model for a small open economy. Our results show that construction and manufacturing industries exhibit a significant reduction in gross value added (GVA) after an unanticipated rise in the official cash rate. However, the finance and insurance industry, and the mining industry, seem to be unaffected by these shocks.
    Keywords: Monetary shocks, Industrial response, Industrial composition and VAR model
    JEL: E50 E58 C32
    Date: 2013–01–17
  27. By: Kelly, Robert; McQuinn, Kieran; Stuart, Rebecca
    Abstract: The rapid increase in credit in an economy is now commonly perceived to be one of the leading indicators of financial instability. This view has been reinforced by the aftermath of the international financial crisis, which commenced mid 2007. A key policy response has been to focus on the ratio of private sector credit to GDP for an economy, observing, in particular, significant deviations between the actual and long-run trends of the ratio. This paper examines the issue of the steady-state relationship between private sector credit and GDP in the case of Ireland, a country which, even by international standards, experienced a sizeable expansion in credit over the past 10 years. JEL Classification: G01, E51, E63
    Keywords: credit, GDP, indicator
    Date: 2013–04
  28. By: Castrén, Olli; Rancan, Michela
    Abstract: We use financial accounts data at sector level to construct financial networks for individual euro area countries. We then connect the country-level networks to one large “Macro Network”, using information on cross-border linkages between the national banking sectors. We then evaluate the features of the resulting framework using various network statistics. Shock simulations reveal that the structural features of the bilateral linkages are a key determinant of the losses that may be generated when the shocks propagate in the system. The network structures evolve over time, showing increasing interconnectedness in different instrument categories before the financial crisis hit in 2007, and a sharp retrenchment from bilateral exposures after the crisis started. This reflects the surge in counterparty risk and the de-leveraging processes which were triggered by the initial asset price losses and were further amplified by the economic downturn. As a consequence, there was a marked deterioration in financial integration both within economies and across countries in the euro area. Nonetheless, our analysis suggests that the risk of contagion is not reduced, while a more diversified portfolio of cross-border exposures might mitigate shocks effects. JEL Classification: E44, F36, G01, G15, G21
    Keywords: Balance sheet contagion, cross-border exposures, Financial crises, Financial networks, interconnectedness
    Date: 2013–02
  29. By: Hui-ting Hsieh (Department of Economics, National Chung Cheng University, Taiwan); Ching-chong Lai (Institute of Economics, Academia Sinica, Taipei, Taiwan; Department of Economics, National Cheng Chi University, Taiwan; Institute of Economics, National Sun Yat-Sen University, Taiwan)
    Abstract: This paper sets up an imperfectly competitive macroeconomic model that features the strategic interaction between the patent-holding firm and licensees, and uses it to analyze the relevant macro variables under various licensing arrangements. Some main findings emerge from the analysis. First, the equilibrium aggregate output and aggregate consumption under fixed-fee and royalty licensing regimes are always greater than those under the no licensing regime. Moreover, the equilibrium aggregate output and consumption under the fixed-fee licensing regime are always greater than those under the royalty licensing regime. Second, with the higher (lower) technology level the patent-holder prefers the fixed-fee (royalty) contract. Third, welfare could be improved through technology transfer, and the level of welfare under the fixed-fee licensing regime is higher than that under the royalty licensing regime.
    Keywords: Imperfect competition, Macroeconomic model, Fixed-fee licensing, Royalty licensing
    JEL: D45 E10 L16
    Date: 2013–08
  30. By: Lane, Philip R.; McQuade, Peter
    Abstract: Europe experienced substantial cross-country variation in domestic credit growth and cross border capital flows during the pre-crisis period. We investigate the inter-relations between domestic credit growth and international capital flows over 1993-2008, with a special focus on the 2003-2008 boom period. We establish that domestic credit growth in European countries is strongly related to net debt inflows but not to net equity inflows. This pattern also holds for an extended sample of 54 advanced and emerging economies. JEL Classification: E51, F32, G15
    Keywords: financial globalisation, financial stability, macro-prudential regulation
    Date: 2013–07
  31. By: Bańbura, Marta; Giannone, Domenico; Modugno, Michele; Reichlin, Lucrezia
    Abstract: The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics. In this paper we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market participants and policy makers read macroeconomic data releases in real time, which involves: monitoring many data, forming expectations about them and revising the assessment on the state of the economy whenever realizations diverge sizeably from those expectations. (Prepared for G. Elliott and A. Timmermann, eds., Handbook of Economic Forecasting, Volume 2, Elsevier-North Holland). JEL Classification: E32, E37, C01, C33, C53
    Keywords: macroeconomic forecasting, Macroeconomic news, mixed frequency, real-time data, state space models
    Date: 2013–07
  32. By: Giovanna Bua (The World Bank, Universit… Statale di Milano); Juan Pradelli (The World Bank); Andrea Filippo Presbitero (Universit… Politecnica delle Marche, MoFiR)
    Abstract: This paper introduces a new dataset on the stock and structure of domestic debt in 36 Low-Income Countries over the period 1971-2011. We characterize the recent trends regarding LICs domestic public debt and explore the relevance of different arguments put forward on the benefits and costs of government borrowing in local public debt markets. The main stylized fact emerging from the data is the increase in domestic government debt since 1996. We also observe that poor countries have been able to increase the share of long-term instruments over time and that the maturity lengthening went together with a decrease in borrowing costs. However, the concentration of the investor base, mainly dominated by commercial banks and the Central Bank, may crowd out lending to the private sector.
    Keywords: Debt structure, Domestic debt, HIPCs, Low-income countries
    JEL: E62 H63 O23
    Date: 2013–08
  33. By: Balazs Egert
    Abstract: This paper analyses the original Reinhart-Rogoff dataset, made public by Herndon et al. (2013), on the basis of descriptive statistics and formal econometric testing. First, based on the public debt thresholds (30%, 60% and 90%) proposed by Reinhart and Rogoff (2010), descriptive statistics reveal that real GDP growth slows considerably as the central government debt-to-GDP ratio goes beyond the 30% threshold and that no further slowdown can be observed in the data as the debt-to-GDP ratio rises above 60% and 90% during the periods 1790-2009 and 1946-2009. For the United States (1946-2009), the negative nonlinear finding completely disappears for any level of public debt, once reverse causality and influential outliers are accounted for. Looking at general (and central) government debt during the more recent period of 1960-2009 suggests that economic slowdown occurs when public debt moves above 60% or 90% of GDP. But it seems more appropriate to determine nonlinearity and the associated debt threshold endogenously. Therefore, in a second stage, we put the Reinhart-Rogoff dataset to a formal econometric test by employing nonlinear threshold models. Overall, our estimation results indicate that the nonlinear relation from debt to growth is not very robust. Taken with a pinch of salt, our results suggest, however, that there may be a tipping point at around 20% of GDP, beyond which central government debt has a negative influence on growth. Further (and greater) thresholds may exist but their magnitude is highly uncertain. For general government debt (1960-2009), the threshold beyond which negative growth effects kick in is considerably higher at about 50%. Finally, individual country estimates reveal a large amount of cross-country heterogeneity. For some countries including the United States, a nonlinear negative link can be detected at about 30% of GDP. For others, the thresholds are surrounded by a great amount of uncertainty or no nonlinearities can be established. This instability may be a result of threshold effects changing over time within countries and depending on economic conditions, not captured in our estimations. Overall, our results can be seen as a formal econometric confirmation that the 90% public debt threshold is not in the data. But our results also seem to suggest that public debt might have a negative effect on economic performance kicking in at already fairly moderate public debt levels. Furthermore, the absence of threshold effects or low estimated thresholds may not preclude the emergence of further threshold effects, especially as public debt levels are rising to unprecedentedly high levels.
    Keywords: public debt; economic growth; nonlinearity; threshold effects
    JEL: E6 F3 F4 N4
    Date: 2013–05–15
  34. By: Siregar, Reza; Wihardja, Monica
    Abstract: Amid global financial turbulent, the economy of Indonesia posted an annual average growth of above 6 per cent between 2008 and 2012, except in 2009. This was arguably among the most stable growth performance among the regional economies of East and Southeast Asia. The strength of domestic demand has indeed been a primary driver of the remarkably stable growth performance. However, the uncertainties with the advanced economies, particular in the US and the European Union, had negatively affected the local economy and exposed a number of apparent weaknesses with the Indonesian economy. A couple of these vulnerabilities are worth highlighted as they are arguably structural in nature. First is the country banking sector’s exposure to global cross-border bank lending activities. Second factor has to do with the persistent current account deficit and its link to long-standing fiscal policy of fuel subsidy and global commodity market.
    Keywords: Current Account, Capital Account, Global Financial Crisis, Energy Subsidy and Commodities
    JEL: E50 E60 F41
    Date: 2013–08–15
  35. By: Balázs Égert
    Abstract: This paper puts the Reinhart-Rogoff dataset to a formal econometric testing to see whether public debt has a negative nonlinear effect on growth if public debt exceeds 90% of GDP. Using nonlinear threshold models, we show that the negative nonlinear relationship between debt and growth is very sensitive to modelling choices. We also show that when nonlinearity is detected, the negative nonlinear effect kicks in at much lower levels of public debt (between 20% and 60% of GDP). These results, based on bivariate regressions on secular time series, are confirmed on a shorter dataset (1960-2010) using a multivariate growth framework.
    Keywords: public debt; economic growth; nonlinearity; threshold effects
    JEL: E6 F3 F4 N4
    Date: 2013–02–15
  36. By: Duersch, Peter; Eife, Thomas
    Abstract: We study how inflation and deflation affect firms' ability to cooperate in an experimental Bertrand duopoly with differentiated products. We find that there is significantly less cooperation in the treatments with inflation and deflation compared to the no-inflation treatments. The difficulties to cooperate affect prices and welfare: Depending on the market structure, inflation and deflation lead to significantly lower (real) prices and higher welfare.
    Keywords: Bertrand Duopoly; Inflation; Experiment; Money Illusion
    Date: 2013–08–13
  37. By: Laurent L. Pauwels (The University of Sydney Business School); Andrey Vasnev
    Abstract: This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident indicators and yield curve models, allowing for dynamics and real-time data revisions. Forecast combinations use logscore and quadratic-score based weights, which change over time. This paper finds that forecast accuracy improves when combining the probability forecasts of both the coincident indicators model and the yield curve model, compared to each model's own forecasting performance.
    Keywords: U.S. business cycle, Forecast combination, Density forecast, Probit models, Yield curve, Coincident indicators.
    Date: 2013–03
  38. By: Neil Foster-McGregor (The Vienna Institute for International Economic Studies, wiiw); Robert Stehrer (The Vienna Institute for International Economic Studies, wiiw); Marcel Timmer
    Abstract: There has been an ongoing trend towards increasing internationalisation of production over the past two decades or so. This implies that countries become more dependent on demand from foreign countries but also that countries and industries are able to source intermediates from different countries, an activity referred to as ‘offshoring’. Whereas the former aspect means an increasing dependency on foreign markets, the second aspect implies that countries and industries source at lower costs making them more productive and competitive. Using the World Input-Output Database (WIOD) we first provide an overview of these trends over the period 1995-2011 for 40 advanced and emerging countries with a specific focus on the EU as a whole and the individual EU member states. In the second part of the paper we show results from an econometric analysis to explain growth performance, focusing on the impacts of the increasing internationalisation of production.
    Keywords: international fragmentation of production, growth, employment, trade
    JEL: E20 F15 F43
    Date: 2013–05
  39. By: John Hartwick (Queen's University)
    Abstract: We set out a simple four sector macro model of the economy of the Roman Empire during a period of considerable economic prosperity. Our focus is on gold coins as currency and the seignorage which the government used to fund its activities. We solve numerically for a balanced growth representation of the economy of the empire, a solution that captures the intricacies of money creation, currency expansion and seignorage. We subscribe to the view that the exhaustion of low-cost gold and silver deposits contributed significantly to the ending of the economic prosperity enjoyed by Roman Italy and its provinces during the so-called Pax Romana (31 BC to 165 CE) and we attempt to capture significant shifts in variables during the decline.
    Keywords: Roman money supply, gold coinage, money during Pax Romana
    JEL: E40 E10 N10
    Date: 2013–08
  40. By: Tabata, Katsushi; Kawaguchi, Yuichiro
    Abstract: This paper has done a model analysis from a long-term perspective about Real estate prices in Japan. In particular, we consider a Lewis turning point with the rise of land prices over time. It is analyzed by state space methods. Using the model, we examined how the real estate transactions were affected by the population growth and the technological progress. Furthermore, we have compared two types of models which consider banking sector and no banking transactions. In particular, population decline in Japan would have a significant impact to the long term recession since 1990. We are skeptical about the population declining effect using our model. A Summary of our model estimation is as follows. (1) The Lewis turning point with both technological progress and population growth is confirmed. Japan has passed the Lewis turning point in the second half of '70. (2) Since then, banks played an important role in the formation of real estate prices. (3) A trend that has lowered the price of real estate with declining population cannot be confirmed clearly. (4) In the bubble period, real estate price exceeds the reality of the macro economy due to the bank loan behavior. The Japanese experience of the rise in land prices is very interesting in considering the future of the Asian countries. Asian countries have made remarkable economic development. However, these benefits of growth would be absorbed by the increase in asset prices and real estate investment. This is very similar to the past experience of Japan.
    Keywords: Real Estate, Financial Accelerator, Population, Lewis Turning Point
    JEL: E37 J11 O10
    Date: 2013–08–10
  41. By: Leo Krippner
    Abstract: When nominal interest rates are near their zero lower bound (ZLB), as in many developed economies at the time of writing, it is theoretically untenable to apply the popular class of Gaussian affine term structure models (GATSMs) given their inherent material probabilities of negative interest rates. Hence, I propose a tractable modification for GATSMs that enforces the ZLB, and which approximates the fully arbitrage-free but much less tractable framework proposed in Black (1995). I apply my framework to United States yield curve data, with robust estimation via the iterated extended Kalman filter, and first show that the two-factor results are very similar to those from a comparable Black model. I then estimate two- and three-factor models with longer-maturity data sets to illustrate that my ZLB framework can readily be applied in circumstances would computationally burdensome or infeasible within the Black framework.
    Keywords: zero lower bound; term structure of interest rates; Gaussian affine term structure models; shadow short rate; shadow term structure
    JEL: E43 G12 G13
    Date: 2013–08
  42. By: Bouoiyour, Jamal; Selmi, Refk
    Abstract: This paper tries to revisit the interaction between exchange uncertainty and exports in the Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated GARCH, Exponential GARCH and Weighted GARCH) we show that the effect of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i.e. either structural breaks or shifts) and leverage effect (i.e. either good or bad news) in nominal terms. Our results also reveal that all considered links either in nominal or real terms are highly persistent, which means a great tendency to long memory process.
    Keywords: Exchange rate; exports; volatility; GARCH specifications.
    JEL: E3 F1 F14
    Date: 2013–02
  43. By: Knetsch, Thomas A.; Sonderhof, Katja; Kempe, Wolfram
    Abstract: Mit dem Erwerbspersonenpotenzial zu Vollzeitäuivalenten wird ein Messkonzept für das gesamtwirtschaftliche Arbeitsangebot auf Stundenbasis vorgeschlagen. Es dient zur Berechnung des Faktors Arbeit in angebotsseitigen Schätzungen des Produktionspotenzials in der mittleren Frist. Besondere Aufmerksamkeit wird dem Einfluss der Zuwanderung und der Interdependenz zwischen Erwerbsbeteiligung und Arbeitszeitentscheidung geschenkt. Unter der Annahme zunehmender Beteiligung von Älteren und Frauen am Erwerbsleben sowie bei fortgesetzt hohen Wanderungsüberschüssen kann das Erwerbspersonenpotenzial trotz eines spürbar dämpfenden Alterskohorteneffekts bis 2020 stabilisiert werden. In Vollzeitäquivalenten ist aufgrund der negativen Rückwirkung steigender Erwerbsbeteiligung auf die Arbeitszeit allerdings mit einem Rückgang zu rechnen. --
    Keywords: Erwerbspersonenpotenzial,Arbeitsangebot,Zuwanderung,Alterung
    JEL: E31 G21
    Date: 2013
  44. By: Ahmad, Najid; Ahmad, Arslan; Hayat, Muhammad Farhat
    Abstract: This paper investigates the impact of foreign remittances on economic growth of Pakistan. We use secondary time series data for the period of 1978 to 2011. The multiple regression analysis is used to identify the relationship among the variables. GDP is taken as dependent variable while foreign remittances, FDI, inflation and exchange rate as independent variables. Augmented Dickey Fuller (ADF) test is used to check the stationary of variables and all variables found stationary at level. Ordinary Least Squares technique is applied to check the relation among these variables. Results indicate that foreign remittances have positive and significant relation with GDP of Pakistan while inflation and exchange rate has negative effect on economic growth. Foreign direct investment has positive but insignificant relation with GDP of Pakistan. One percent increase in foreign remittances will raise GDP by 0.25 percent. Our model is free from hetroskedasticity and autocorrelation with satisfactory functional form that suggests the stability of our model. The CUSUM and CUSUMSQ are showing that our model is structurally stable within the 5% of critical bounds. Pakistan needs stable and visionary government to enhance foreign capital inflow to boost investment and economic growth
    Keywords: Foreign remittances, Economic Growth, OLS, Pakistan
    JEL: E00
    Date: 2013–07
  45. By: Mr Sani Ibrahim, Saifullahi
    Abstract: Robust economic development is not possible without financial deepening more especially in rural community where vast majority of the populace of Less Developed Countries (LDCs) resides. This paper analyses the impact of rural financial development on economic growth of Nigeria. The study uses time series data covering 1980 to 2011 periods paving the way for the application of Johansen and Juselius model of cointegration to detect the long-run relation among the variables in question. Accordingly, Dynamic Ordinary Least Square (DOLS) method was applied to unveil relationship between rural financial development and economic growth. The cointegration test result reveals the presence of long run relation between rural financial development and economic growth of Nigeria. Moreover, the DOLS results found a significant positive relationship between rural financial development and the growth of Nigerian economy. It has been confirmed in this study that rural finance serves as an engine of growth in the country. It could therefore be concluded that enhancing productive credit especially in rural areas could free the disadvantaged entrepreneur and thus enable them to contribute immensely toward the growth of Nigerian economy. The study therefore recommends among other things, barriers to the productive credit allocation in rural community should be reduced to the barest minimum.
    Keywords: Rural development, credit allocation, financial development
    JEL: E44 O16 O55
    Date: 2013–03–01
  46. By: Sirucek, Martin
    Abstract: This article is focused on the effect and implication of a change in the money supply for US capital market. This market was chosen according to his part on the global market capitalization. Namely it is the Dow Jones Industrial Average (DJIA), which was chosen according to his long history, global sense and stabile construction. The money supply will be measured by the wider aggregate M2 and aggregate MZM (money with zero maturity). The goal of this paper is detect, if the money supply influence the stock indices in period 1967 - 2011, if the impact of both money aggregates is near the same and how the money supply influence the bubble creation.
    Keywords: money supply, stock index, cointegration, unit root test, Granger test
    JEL: E42 C52
    Date: 2012–06–29

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